Author

Abstract

This paper proposes an extension of the standard one-way error components model allowing for heteroscedasticity in both the individual-specific and the general error terms, as well as for unbalanced panel. Onthe grounds of its robustness to distributional misspecification, its robustness to possible misspecification of the assumed scedastic structure of the data, its computational convenience and its potential efficiency, we argue for estimating this model by Gaussian pseudo-maximum likelihood of order two. Further, we review how, taking advantage of the powerful m-testing framework,the correct specification of the prominent aspects of the model may be tested. So are surveyed potentially useful nested, non-nested, Hausman and information matrix type diagnostic tests of both the mean and the variance specification of the model. Finally, we illustrate the practical relevance of our proposed model and estimation and diagnostic testing procedures through an empirical example in the production analysis field.

Statistics

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cor:louvco:2004076. See general information about how to correct material in RePEc.

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

We have no references for this item. You can help adding them by using this form .

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through
the various RePEc services.